Chocolatey is a proxy-package manager, automates fetching packages off the Internet installing them (often through the packages own .msi or other installer). So it doesn't compete against Chef any more than yum or apt-get or Homebrew competes with Chef. Chef supports Chocolatey directly.

That being said, the experience on Windows is abysmal. The implementation with ruby on Windows is sloooooooow. You wait seconds just to get things like version.